How did people believe this? The only consolation for economists/financial theorists is that the people arguing on behalf of this theory were clearly so smart -- people like Eugene Fama or Paul Samuelson, so the rest of the economics community decided that it must true despite a lack of empirical evidence.

The thing is that Robert Shiller and Thaler and Lo are also very smart. Plus they have the benefit of empirical data.

This is a discussion of economic science.